It's very simple, the best strategy for the last 20 years (with hindsight) would be to buy the shares that have performed best over this period, but it wouldn't work better than chance going forward.

Obviously, sitting down and creating that "strategy" would be silly, nobody would think that would work. But if you're using ML or just test a million random strategies, you could end up with something along those lines, a strategy that is optimised for the particular paths stock prices took up to know.